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http://dx.doi.org/10.5351/KJAS.2017.30.1.169

Multivariate volatility for high-frequency financial series  

Lee, G.J. (Department of Statistics, Sookmyung Women's University)
Hwang, Sun Young (Department of Statistics, Sookmyung Women's University)
Publication Information
The Korean Journal of Applied Statistics / v.30, no.1, 2017 , pp. 169-180 More about this Journal
Abstract
Multivariate GARCH models are interested in conditional variances (volatilities) as well as conditional correlations between return time series. This paper is concerned with high-frequency multivariate financial time series from which realized volatilities and realized conditional correlations of intra-day returns are calculated. Existing multivariate GARCH models are reviewed comparatively with the realized volatility via canonical correlations and value at risk (VaR). Korean stock prices are analysed for illustration.
Keywords
high-frequency time series; realized volatility; multivariate GARCH;
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Times Cited By KSCI : 4  (Citation Analysis)
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